Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0026
Annualized Std Dev 0.2625
Annualized Sharpe (Rf=0%) -0.0098

Row

Daily Return Statistics

Close
Observations 3328.0000
NAs 1.0000
Minimum -0.1271
Quartile 1 -0.0074
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0082
Maximum 0.1285
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0165
Skewness -0.5278
Kurtosis 8.4567

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0111
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.7306
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0408
Modified VaR (95%) -0.0266
Modified ES (95%) -0.0542
From Trough To Depth Length To Trough Recovery
2008-01-11 2009-03-02 2021-02-09 -0.7306 3293 286 3007
2021-02-18 2021-03-08 NA -0.1287 23 13 NA
2008-01-02 2008-01-02 2008-01-07 -0.0146 4 1 3
2008-01-08 2008-01-09 2008-01-10 -0.0126 3 2 1
2021-02-10 2021-02-10 2021-02-11 -0.0009 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 0.6 0.6
2008 1.1 -2.4 2 0.3 0.8 -1.1 -1.5 -0.7 -0.8 4.6 -4.1 1 -1.1
2009 -1.9 -1.6 2.1 0.8 3 3 0.1 -2.7 -3 -3.5 2.5 -0.2 -1.8
2010 2.8 1.9 2.3 -1.1 -1.4 -0.8 0.6 3.3 0.5 0.7 3.3 0.4 13.1
2011 2.6 -0.9 1.9 1.1 -1.9 1.4 1 -0.9 -3.8 -2.9 -1 0.3 -3.3
2012 1.9 1.5 1.1 0.9 -2.2 2.2 0.2 1.1 0.6 0.7 0.2 1.3 9.9
2013 1.1 0.5 -0.6 -1 -1.7 0.8 1.9 1.7 2.2 -0.2 1.4 -0.3 5.7
2014 0.3 -0.1 1.8 0.2 -0.4 0.8 0.8 -0.2 -1.9 -0.8 -1.2 0.2 -0.6
2015 -1.7 0.2 0.9 0.4 0 0.1 1 -3 0.4 -0.1 1.1 -0.1 -0.7
2016 -0.3 2.4 0 -0.6 0.2 0.3 -0.9 0.5 0.7 -0.9 -1.1 -1.5 -1.2
2017 0.1 1.6 -1.1 0.4 0.9 0.5 -0.4 0.3 0.6 0.6 -1.3 0.5 2.7
2018 -0.9 0.8 1.8 -1.1 1.4 2.6 -1 0.8 0.1 2.4 -0.4 -0.1 6.4
2019 -0.4 0.2 1.4 -1 1.1 0.4 -1.4 0.7 -0.8 0.6 -1.7 0 -0.9
2020 -1.9 -0.7 -3.4 -3 3 2.4 -0.7 0.7 1.4 -1.5 1.1 -0.3 -3.1
2021 3.4 2.8 0.3 NA NA NA NA NA NA NA NA NA 6.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart